LALU LINTAS PEMBAYARAN INTERNASIONAL

SYAHRUDI,SE

1

PASAR DEVISA

• Pasar di mana mata uang suatu negara

diperdagangkan dengan mata uang

negara lain

• Sebagian besar bank komersial besar di

pusat keuangan dunia (yang dipusatkan di

London, New York, Tokyo, Singapura)

P i l i j l

perantara, bank sentral

2

PASAR DEVISA • Lebih dari 80% semua pedagang

menggunakan dolar US .

• Sebagian besar bank deposit

memperdagangkan via internet dan

telepon

• Pertimbangan untuk memperoleh devisa

– Tujuan pedagang dan investastor

– Mengambil keuntungan dari perbedaan

tingkat bunga antar negara

– Spekulasi

3

Spot Market vs. Forward Market

• Pasar spot (tunai) melibatkan jual beli

t t k h k

(biasanya mengambil sekitar dua hari -

b ih)

• Pasar forward (depan) melibatkan jual beli

mata uang untuk masa depan

penyerahan

(satu bulan, tiga bulan, enam bulan

kontrak)

– Berarti menyediakan hedging dengan

mengambil resiko

4

Tingkat Pertukaran

• Nilai tukar adalah harga suatu mata uang

dalam kaitan dengan yang lain

• “Perdagangan besar” mengambil tingkat

kuota dalam berita – untuk transaksi yang

melebihi $ 1 juta

• Midpoint tingkat kuota dikutip dalam

d k id i t t b k’

“penawaran” dan “ permintaan” harga

5

Tingkat Pertukaran

• Harga penawaran adalah harga pembelian

– apa yang mereka bayar

• Adalah harga penjualan bank apakah

bank akan menjual untuk

“ d” d l h b d t h

yang ditawarkan dan yang diminta, biaya-

bi t k i dit t k t

bank; biasanya sekitar 0.1 persen

6

• October 26, 2004 at 4:00 p.m. in New York, the

h t b t th J

the U.S. dollar was ¥1 = $0.009375

• $/¥ = $0 009375

• ¥/$ = 1/ 0.009375 = ¥106.67

d

$/¥ 1 / 106 67 $0 009375

O t b

26 2004 t 4 00

i N

Y k th

exchange rate between the British pound and

the U S dollar was £1 = $1 8352

• $/£ = $1.8352

• £/$ = 1 / 1 8352 = £0 5449

• $/£ = 1/ 0.5449 = $1.8352

7

• October 26, 2004 at 4:00 p.m. in New York, the

exchange rate between the euro and the U.S.

dollar was €1 = $1.2764

• $/€ = $1.2764

• €/$ = 1/ 1.2764 = €0.7835

• $/€ = 1 / 0.7865 = $1.2764

8

• Flexible (Floating) Exchange Rates – Determined by market forces of supply and

demand

– Fluctuate from hour to hour, day to day, etc.

– Currencies of most major trading nations now

float

– Wall Street Journal reports exchange rates

(relative to the U.S. dollar) for over 40 currencies every day

9

Foreign Exchange Market

• If the dollar price of a pound rises, the dollar has

depreciated against the pound, and the pound

has appreciated against the dollar

• When dollar price of pound went from $1.60 to

$1.70, dollar depreciated by

(($1.70 - $1.60) / $1.60)*100 = 6.25%,

and pound appreciated by

((.5882 - .625) / .625)*100 = 5.89%

Foreign Exchange Market

• If the dollar price of a pound falls the

dollar has appreciated against the pound,

and the pound has depreciated against the

dollar

• Calculations done the same way!

Arbitrage

• Arbitrage is the act of simultaneously

buying a good at a low price in one market and selling that same good at a higher g g price in another market to make a profit

• A particular currency (e.g. the Swiss franc, SF) is a homogeneous good

• Transactions costs are minimal in the foreign exchange markets

Arbitrage

• Any discrepancy (greater than

transactions costs) between the $/SF

exchange rate in New York and London

will result in arbitrage actions that will

quickly lead to equality in the $/SF

exchange rate in New York and London

• There will be one world price for the SF

Illustration of Arbitrage Initial Prices: 0.60 in New York, 0.65 in London

$/SF

0.62

0.60

NEW YORK

Q1

S

D2

D1

$/SF

0.65

0 62

QSF

LONDON

Q1

S1

S2

D

QSF

Arbitrageurs Buy in New York, Sell in London, Price Equalizes

Currency Cross Rates

• $/¥ = $0 009375

• $/£ = $1.8352

¥/£ ¥/$ /£/$ (1/0 009375) / (1/1 8352) =

106.67 /0.5449 = ¥195.76

Currency Cross Rates and Arbitrage

• Suppose $/¥ = $0.01

• Suppose $/£ = $2.00

• Then ¥/£ should be ¥200 for consistency

• Suppose ¥/£ is ¥180

A bit ill b d ith th

buy dollars with pounds, then buy yen with dollars and end up with more yen than she started with

Currency Cross Rates and Arbitrage

• Suppose $/¥ = $0.01

• Suppose $/£ = $2.00

• Then ¥/£ should be ¥200; suppose it is ¥180

• Abitrageur spends ¥180 to get £1 which will buy $2.00 which will buy ¥200 for an 11.1 percent profit

• Arbitrage will result in consistent exchange rates across currencies

Nominal vs. Real Exchange Rates

• Nominal exchange rate: a bilateral

exchange rate that is unadjusted for

changes in the two nations price levels

• Real exchange rate: a bilateral exchange

rate that has been adjusted for price level

changes in the two nations

Nominal Exchange Rates

• Suppose $/£ falls from $2 00 to $1 80

– Dollar has appreciated against the pound by

(2 00-1 80)/2 00 x 100 = 10%

• Can dollar now buy 10% more British

goods?

– Not if British price level has risen relative to

American price level

Nominal vs. Real Exchange Rate

• Nominal exchange rate show purchasing

power of domestic currency in terms of another country’s currencyy

• Real exchange rate tracks purchasing power of domestic currency in terms of y another country’s goods and services

• Real $/£ exchange rate =

$/£ x CPIUK/CPIUS

Real Exchange Rate

• Suppose in 2000, $/£ = $2.00, CPI in U.S.

= 100, CPI in U.K. = 100

• Suppose in 2004, $/£ = $1.80, CPI in U.S.

= 110, CPI in U.K. = 115

• Real Exchange Rate in 2000 = $2.00

• Real Exchange Rate in 2004 = $1.88

• Dollar has appreciated in real terms by 6.0%

Foreign Exchange Risk

• Risk that the value of a future receipt or

obligation will change due to variation in

foreign exchange rates

– Transactions exposure

Translation exposure

– Economic exposure

Covered Exposure

• If the exposure to foreign exchange risk is

completely eliminated through hedging,

then the exposure is

covered

.

Forward Exchange Market

• U S importer of British goods will need to

obtain a specified number of pounds to pay the British exporter (say £1,000,000)

• If payment is required at time order is placed,

importer will use spot market to buy pounds with U S dollars

• But much of international trade involves

orders in which both delivery of goods and y g payment for goods will occur at some point in future, e.g., three months

Forward Exchange Market

If payment is due in three months what are

importer’s options?

1 Buy the specified number of pounds now

on the spot market (since $/£ is $1.8378

this afternoon this would cost

$1,837,800), then invest the pounds for

three months until they are

needed

.

Forward Exchange Market

2 Wait three months and then b

the specified

number of pounds on the spot market. This is

risky since the $/£ exchange rate could rise

over the next three months, raising the dollar

cost of the goods (the dollar could depreciate

against the pound).

For example if $/£ rises to $1.90, cost rises to

$1,900,000, an increase of $62,200.

Note: risk can cut both ways.

Forward Exchange Market

3. Buy the specified number of pounds now on the forward exchange market. In the forward exchange market, currencies are bought and sold for future delivery at a market determined price. This eliminates the risk of an adverse exchange rate movement. Both delivery and payment occur on some future date, typically one month, three months, six months or one year in the future.

Th th f d t d thi

afternoon is $1.8255, so 1,000,000 pounds would cost $1,825,500.

Forward vs. Spot Rates

• If the forward exchange rate ($/£) exceeds

the spot rate ($/£) then forward premium on the pound

• If the forward exchange rate ($/£) is less than the spot rate ($/£) then forward p ( discount on the pound

• Based on average market expectations about future movement of exchange rates

Forward vs. Spot Rates

• Spot rate $/£ = $1 8378

• 3-month forward rate $/£ =

$1.8255

St d di d f d di t

pound is (FN– S)/S x 12/N x 100

th

• (1.8255 - 1.8378)/1.8378 x 12/3 x 100 =

-2.68 percent

Forward vs. Spot Rates

• Suppose instead

– Spot rate $/£ = $1.8378

3 month forward rate $/£ = $1 8578

• Standardized forward premium on the

d i (F

N S)/S 12/N 100

• (1.8578 - 1.8378)/1.8378 x 12/3 x 100 =

+4.35 percent

Forward and Spot Rates

• Supply and demand determine

forward

rate

• In forward market equilibrium F = S

E

N = S

N

• Does forward rate predict the future spot

t ? N t t l

Foreign Exchange Futures Market

• Like the forward market in futures market

foreign exchange can be bought or sold

for future delivery

• Serve same general purpose, but many

differences between forward and futures

markets

Futures Market

1 Location specific e g Chicago

Mercantile Exchange

forward market is part of global foreign

exchange market – not location specific

2 Only a few currencies traded at CME (¥

Can$, £, SF, A$, Ps, €)

many currencies traded on forward market

Futures Market

3 Standardized Contracts – fixed amounts, e.g. £62,500, ¥12.5 million

(forward contracts for any agreed upon y g p amounts)

– much smaller amounts than are possible in

forward market, so smaller firms an f d k t ll fi d individuals can play

fixed maturity dates 3rd Wednesday of

March, June, September and December (forward contracts typically 30, 90 or 180 days, maturing every day of year)

Futures Market

4 Margin Requirements - trader must

deposit money with broker - and daily

settlement required - losses deducted

from deposit on a daily basis

Swaps

• Much of the foreign exchange market

consists of inter-bank trading

• Commercial banks rarely use forward

contracts for inter-bank trading; they use

swaps

Swaps

• Foreign exchange swap combines a spot

and a forward transaction in a single deal

• Foreign exchange swap is an agreement to trade one currency for another at one date and reverse the trade at a later date

• Terms of the swap depend on the relationship between the spot price and p p the forward price

Foreign Currency Options

• Buying/Selling options is another way to hedge

• Foreign currency option is a contract that

provides the right, but not the obligation, to buy

or sell a specified amount of a foreign currency

at a specified exchange rate

– (a) on or before the maturity date (American

option)

– (b) on the maturity date (European option)

y

Foreign Currency Options

• Call option: the right to buy currency - holder of

call option expects currency to appreciate in

future

• Put option: the right to sell currency - holder of

put option expects currency to depreciate

• Striking (exercise) price: the price of the

currency specified in the contract

• Option premium: the amount that must be paid

to purchase the option contract (price of option)

Foreign Currency Options

• Philadelphia Stock Exchange first to “make a

market” in foreign currency options in 1982

• Chicago Mercantile Exchange also deals in

foreign currency options

• CME also provides futures and options in

agricultural commodities (live cattle, pork bellies,

fluid milk, etc.), stock indexes and interest rate

d

Markets for Foreign Exchange

• Foreign exchange rates are determined in

markets by interaction of supply and demand (except for “fixed” rates)( p – applies to spot market

– applies to forward market

– applies to futures market

• Options premiums are also determined in markets by supply and demand